Investor Composition and the Liquidity Component in the US Corporate Bond Market

• 成果类型: Article
• 署名作者: Li, Jian; Yu, Haiyue
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70024
• 发表日期: 2026-04
• 页码: 871-922
• 关键词: yield spreads; search; illiquidity; credit; fragility; mechanism; QUALITY; anatomy; funds; RISK

摘要

The link between corporate bond credit spreads and secondary market illiquidity in the cross section has grown stronger since 2005, resulting in a higher liquidity component in credit spreads. Using U.S. investor holdings data, we show that short-term investors (e.g., mutual funds/exchange-traded funds [ETFs]) increase trading activities in the secondary market, amplifying the effect of secondary market frictions on prices. We provide a model featuring heterogeneous investors with different trading needs and heterogeneous bonds to investigate the impact of the rapid-growing mutual fund/ETF sector on the corporate bond market. We find the change in investor composition can quantitatively explain the aggregate trend.